Big gains in Middle Eastern countries have driven some frontier ETFs significantly higher this year. But changes in the index—not to mention geopolitical risk—mean that 2014 probably won't bring such heady returns.

Some people just like to bet on the underdog. Some have a stronger stomach for volatility. Some hop onto any passing bandwagon. Whatever the case is here, frontier markets—the 30 or so countries including Kuwait, the United Arab Emirates, and Nigeria that don't quite meet MSCI's emerging-markets standards—have risen 17% this year, while broader emerging-market funds are languishing, declining 2% on average. Impressive? Sure. A substitute for an emerging markets fund? Absolutely not.